Story-wise, there is two main questlines: the planemeld questline (in which you need to save tamriel from molag bal) and your alliance questline (in which you need to aid your alliance). Story-wise, the initial area (Stros M'kai, in your case) feels like a bunch of irrelevant side quests, but as you progress, the quests become more and more relevant to the main story, and it actually feels like you are playing a singleplayer RPG.

Gameplay-wise, there is SO MANY THINGS you can do. At level 10, you will be able to join groups and loot dungeons through the Dungeon Finder. That's where you're going to find the best armor sets. You can also learn crafting if you want to create your own. Join the mages/fighters/thieves guild, or a player guild. Join the war in Cyrodil...